★ CDP 逆勢操作系統 + 如意多空網 (留倉交易程式碼)

EasyTrader ArtNo 084

日內交易既然碰到一些瓶頸,我們嚐試將 CDP 的交易模型改為留倉交易

測試程式碼 ( 台指期 15 分K 留倉 回測週期 2001/1~2013/10/31 交易成本 1200
input:Tradestoploss(0.035),TimeEntry(905),TimeExit(1255),TimeFlat(1335),tradeprofit(0.03),HLrange(21),RangeBar(5);
vars:cdp(0),ah(0),nh(0),nl(0),al(0),HL(0);
vars: MP(0),IsBalanceDay(false),PF(0),PL(0),DayHigh(99999),DayLow(0) ;

MP = MarketPosition ;

if DAYofMonth(Date) > 14 and DAYofMonth(Date) < 22 and DAYofWeek(Date)= 3 then isBalanceDay = True else isBalanceDay =False ;

if date<>date[1] then begin
   HL = 0 ;
   HL = highD(1) - LowD(1) ;
   cdp = (highD(1)+LowD(1)+2*CloseD(1))/4;
   ah = cdp+(highD(1) - LowD(1));
   nh = cdp*2 - LowD(1);
   nl = cdp*2 - highD(1);
   al = cdp - (highD(1) - LowD(1));
end ;
PF = AvgPrice*TradeProfit ;
PL = AvgPrice*TradeStopLoss ;

if time = 915 then Begin
   DayHigh = MaxList(HighD(0),HighD(1),HighD(2),HighD(3)) ;
   DayLow = MinList(LowD(0),LowD(1),LowD(2),LowD(3)) ;
end;

if time > TimeEntry and time < TimeExit and Highest(Close,RangeBar)-Lowest(Close,RangeBar) > HLRange then Begin
   if High > DayHigh then Buy next bar at nh stop ;
   if Low < DayLow then Sell next bar at nl stop ;
end;

SetProfitTarget(PF*BigPointValue) ;
Setstoploss(PL*BigPointValue) ;

if IsBalanceDay then SetExitonClose ;





看起來留倉交易的多空參考點位以 NH近高/NL近低值較佳 ,因此我們也以此價位加搭配如意多空網分別作 5分K , 10分K , 15分K 的測試






績效表現相當亮眼 , 主程式碼只是簡單修改如下

if time > TimeEntry and time < TimeExit and Highest(Close,RangeBar)-Lowest(Close,RangeBar) > HLRange then Begin
   if _MagicQF001(1) > 0 {and High > DayHigh} then Buy next bar at nh stop ;
   if _MagicQF001(1) < 0 {and Low < DayLow} then Sell next bar at nl stop ;
end;

手中有如意多空網的讀者,馬上可以拿來測試喔

MagicQS029